Idiosyncratic Risk and the Cross-Section of Expected Stock Returns

• المؤلف الرئيسي: FU, Fangjian
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2009
• الموضوعات: Idiosyncratic risk; Cross-sectional returns; Time varying; Finance and Financial Management; Portfolio and Security Analysis
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/lkcsb_research/3030; https://ink.library.smu.edu.sg/context/lkcsb_research/article/4029/viewcontent/FuFJ2009IdiocyncraticRisk.pdf

Theories such as Merton (1987, Journal of Finance) predict a positive relation between idiosyncratic risk and expected return when investors do not diversify their portfolio. Ang, Hodrick, Xing, and Zhang (2006, Journal of Finance 61, 259-299) however find that monthly stock returns are negatively r...